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Rating Action:

Moody's Assigns Rating of Prime-1 (sf) to ECP ABCP issued by Chesham Finance Limited / Chesham Finance LLC - Series III

14 Mar 2016

London, 14 March 2016 -- Moody's Investors Service assigns a Prime-1 (sf) rating to ECP asset-backed commercial paper issued by Chesham Finance Limited / Chesham Finance LLC (Chesham) under a new series, Series III (Chesham - Series III):

ECP Program, Assigned P-1 (sf)

Chesham is an existing programme arranged by BSN Holdings Limited ("BSN") and administered by QSR Management Limited ("QSR"), a wholly owned subsidiary of the The Bank of New York Mellon.

RATINGS RATIONALE

On 7 April 2015, we assigned a Prime-1 (sf) rating on the USCP issuance under Chesham - Series III. Today's rating relates to the rating assignment on the ECP (together with the USCP, "ABCP") issuance under the same series. Chesham - Series III ABCP is segregated from the existing ABCP of Chesham ("core ABCP") and all other series of ABCP which may be issued from time to time. The issuance proceeds of Chesham - Series III are used to acquire assets which are solely used as collateral for Chesham - Series III ABCP and to which no other securities issued by Chesham will have recourse. Similarly Chesham - Series III noteholders will have no recourse to any of the assets which form collateral for other Chesham securities. Segregation is by way of security, limited recourse / non-petition provisions, separate custodial and bank accounts and operational procedures which apply to all classes of ABCP issued by Chesham.

Similar to Chesham core ABCP and the other series, the Prime-1 (sf) rating of Chesham - Series III is based on the credit and liquidity support provided by a repurchase agreements / securities lending agreements / deposits to be entered into with a single counterparty, rated Prime-1 initially, and on the strict limits and robust procedures under which the programme will operate.

USE OF REPURCHASE, DEPOSIT AND SECURITIES LENDING AGREEMENTS TO ACHIEVE MATCH FUNDING - GENERALLY NO LIQUIDITY FACILITIES

Collateral, for Chesham - Series III is expected to be comprised of fixed or floating rate instruments including but not limited to commercial paper, certificates of deposit, time deposits, banker's acceptances, asset-backed securities, freely transferable promissory notes, government or corporate bonds, debentures, equities, commodities, loans repurchase agreements, hedge agreements, asset-backed commercial paper or any instrument of financial value.

In relation to Series III Chesham may, in conjunction with the financing of each asset , enter into a repurchase agreement ("Repo") or a securities lending agreements ("Loan") under which the counterparty will be obliged to make a payment on or before the maturity date of the related ABCP or on demand, in an amount at least equal to the face amount of maturing ABCP. Chesham - Series III will not generally require any liquidity facilities due to the matched maturity profiles of its assets and liabilities.

Chesham - Series III will have only a single Prime-1 rated counterparty in relation to its Repos, Loans, deposits and hedging and liquidity agreements. The rating of Chesham - Series III is therefore directly linked to that of the counterparty to which it is exposed. Unlike in relation to the Chesham core ABCP, instead of being removed as a counterparty on downgrade, the credit exposure will remain until maturity.

CHESHAM - SERIES III MAY ISSUE EXTENDIBLE, CALLABLE OR PUTTABLE ABCP

Chesham - Series III may be issued in the form of extendible ABCP which will only be done if the payments received from its Repos, Loans, deposits and / or hedging agreements will enable the ABCP to be repaid on its final maturity date. This ability will be tested for each possible maturity of extendible ABCP up to its final maturity.

The Repos and Loans entered into may have put or call features embedded in them. In order to manage the programme's liquidity, the Issuer will attempt to issue ABCP with features that mirror those of the associated Repo or Loan. Thus, if the Issuer issues ABCP that can be put by the purchaser upon 7 day's notice, the Issuer will purchase an asset that may be put to the counterparty upon 7 or fewer day's notice. If the Issuer cannot issue ABCP with a call or put feature to match the opposing feature of a Repo or Loan, the Issuer will enter into an appropriate hedge and or liquidity agreement to ensure repayment of ABCP.

DAILY NCO, AND SENSITIVITY TESTS TO ENSURE ABCP CAN BE REPAID ON MATURITY

QSR will test the Chesham - Series III portfolio daily and prior to each issuance of Series III ABCP or asset purchase to ensure that the ABCP will be able to be repaid on its maturity date. ABCP cannot be issued unless Chesham, in respect of Series III, will remain in compliance with these respective tests. Exceeding the permitted limits is an enforcement event in the respective series of ABCP. An enforcement event in respect of Series III is not an enforcement event in respect of core ABCP or other series of ABCP issued by Chesham and vice versa. The following tests will be run for the series:

- The net cumulative cash outflow (NCO) must not be greater than zero. The NCO is computed as the worst case possible net outflow from the portfolio. Every business day to the final maturity of the respective ABCP will be tested;

- Sensitivity to changes in interest rates; and

- Sensitivity to changes in currency exchange rates.

Moody's will monitor the results of these tests on a regular basis.

ORIGINATION AND ADMINISTRATION

BSN's principal responsibilities as Investment Advisor are to originate and structure transactions, identify securities to be financed and the associated Repo, Loan or deposit to be entered into, provide day-to-day advice, on request, in relation to conduit administration of Chesham - Series III and arrange and structure any necessary hedging or liquidity agreements.

As is currently the case for the Chesham programme The Bank of New York Mellon will act as Security Trustee, custodian and issuing and paying agent. It will also provide cash administration and act as account bank. QSR is the administrator of the Chesham programme and their role is extended to administration in respect of Chesham - Series III.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in this rating was "Moody's Approach to Rating Asset-Backed Commercial Paper" published in July 2015. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology.

FACTORS THAT WOULD LEAD TO A DOWNGRADE OF THE RATING:

The Prime-1 (sf) rating of Chesham - Series III ABCP is correlated with the Prime-1 rating of the related counterparty for the series, in that a downgrade of this counterparty could result in a downgrade of the associated series of ABCP.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on. http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF428231.

Moody's did not use any models, or loss or cash flow analysis, in its analysis.

Moody's did not use any stress scenario simulations in its analysis.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

William Ma
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Volker Gulde
VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Assigns Rating of Prime-1 (sf) to ECP ABCP issued by Chesham Finance Limited / Chesham Finance LLC - Series III
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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